CFHEADER 301 shows up as 302 Object Moved

I am trying to redirect certain pages under one domain to another and have the links show up to search engine spiders as 301 Moved Permanently.  The solution is quite common and works well on our Windows 2003/IIS6 CF7 Server.

However on windows 2000/IIS5/CF 5 I do a 301 redirect and when I check the header, I get a 302 Object moved.  

This is the ONLY code on the page.

<cfheader statuscode="301" statustext="Moved Permanently" />
<cfheader name="Location" value="http://www.yahoo.com/" />
<cfabort>

The Headers come back as

HTTP Status Code: HTTP/1.1 302 Object Moved
Location: http://www.yahoo.com/
Server: Microsoft-IIS/5.0
Content-Type: text/html
Content-Length: 152
Redirect Target: http://www.yahoo.com/

Any ideas why this is happening?

Thanks,